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Sibirskii Matematicheskii Zhurnal, 2009, Volume 50, Number 4, Pages 836–840 (Mi smj2005)  
This article is cited in 4 scientific papers (total in 4 papers)

An analog of Wald's identity for random walks with infinite mean

D. A. Korshunov

Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
Full-text PDF (247 kB) Citations (4)
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Abstract: We deduce an analog of the classical Wald's identity $\mathbf ES_\tau=\mathbf E\tau\mathbf E\xi$ in the case of the infinite mean of summands. We find the conditions on $\tau$ under which $\mathbf E\min(S_\tau,x)\sim\mathbf E\tau\mathbf E\min(\xi,x)$ as $x\to\infty$.
Keywords: sums of random variables, stopping time, independence on the future, Wald's identity.
Received: 18.04.2008
English version:
Siberian Mathematical Journal, 2009, Volume 50, Issue 4, Pages 663–666
DOI: https://doi.org/10.1007/s11202-009-0074-8
Bibliographic databases:
UDC: 519.21
Language: Russian
Citation: D. A. Korshunov, “An analog of Wald's identity for random walks with infinite mean”, Sibirsk. Mat. Zh., 50:4 (2009), 836–840; Siberian Math. J., 50:4 (2009), 663–666
Citation in format AMSBIB
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    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Сибирский математический журнал Siberian Mathematical Journal
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